Yes, and in fact this is a quoting convention in FX derivatives; for flys straddles and reversals. It is applied to Legs by often by symmetric delta, and strike-by-delta formulas is used to convert out. Keep in mind that put call parity as it relates to option type is relevant here. Reference a see: "Foreign Exchange Option Pricing: A Practitioner's ...


I can not find any literature around this for options...Is there any particular reason for not pair trading options? There is pair trading in options but from what I've seen for equities (and rates and FX) it's discretionary rather than systematic. Examples: VIX vs. VSTOXX was a popular trade for a long time; SPX vs. NDX has recently got attention.


The most risk free way to hedge FX risk is using a forward. So if you will receive 1 USD in the 1 Year, and you wanted to protect the EUR value of this receivable, you would sell USD/Buy EUR 1 year forward. If you sell the 1 Yr forward at 1.20USD/1EUR, when you receive 1 USD in a year, you would deliver it to your counterparty and receive 0.8333 EUR. If ...

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